Portfolio management within the frame of multiobjective mathematical programming: a categorised bibliographic study

DOI10.1504/IJOR.2010.033102MaRDI QIDQ973438zbMATH OpenOpenAlexFDO

Authors Panagiotis Xidonas, George Mavrotas, John Psarras

Publication date 31 May 2010

Published in International Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/ijor.2010.033102

zbMATH Keywords

bibliographic studymodellingmultiobjective mathematical programmingportfolio management

Mathematics Subject Classification ID

Bibliographic studies (01A90) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Review text

Summary: According to the conventional theory of finance, maximising return with minimum risk should be a milestone of every rational investor. However, contrary to the theoretical expectations of the classical approach, the tests achieved on most financial markets have revealed the existence of more variables, beyond those of risk and return. Moreover, the conventional theory does not take into consideration the investor's specific preferences and behavioural aspects. Under this rationale, the problem of selecting an attractive portfolio is a multicriteria issue, which should be tackled by using appropriate techniques. It is our purpose in this paper to show that the modelling framework of multiobjective mathematical programming (MMP) constitutes the most solid methodological basis for resolving the inherent multidimensional nature of the portfolio selection problem. We are also trying to capture the existing research activity through an elaborate categorised bibliographic review, regarding the application of MMP techniques in portfolio management.

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(9)

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• MCDA strategies for portfolio optimization: a case study on Vietnamese stock market dynamics
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